[R] optim function multi variables -newbie
Hans W Borchers
hwborchers at googlemail.com
Thu Jan 27 18:05:08 CET 2011
michalseneca <michalseneca <at> gmail.com> writes:
> Basically what I am trying is to rewrite matlab code into R ...This is code
> for famous SABR model Calibration.
> I did most of the code up to optimalization issue.
> In the attachment you can find matlab and my unfinished R code..This is very
> helpful code...Basically I am trying to achieve the same results.
> Thank you very much for your help..This might help me much with my thesis
> Best regards
Apparently, you are resetting the input 'params' within the function
EstimateRhoAndVol() to c(0.5, 0.5) regardless of what the actual input is.
No wonder that 'optim' returns the starting values: it sees a constant
Besides that, you have to be more careful with NAs in the SABR model.
Did you try out the function? --- Are you testing the list?
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